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Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications
Chiarella, Carl - 2010
This paper studies the impact of stochastic volatility (SV) on optimal investment decisions. We consider three different SV models: an extended Stein/Stein model, the Heston Model and an extended Heston Model with a constant elasticity variance (CEV) process and derive the long-term optimal...
Persistent link: https://www.econbiz.de/10013136824
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Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
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A BSDE-based approach for the optimal reinsurance problem under partial information
Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012419211
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Less-expensive long-term annuities linked to mortality, cash and equity
Fergusson, Kevin; Platen, Eckhard - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 170-207
Persistent link: https://www.econbiz.de/10014306947
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A benchmark approach to risk-minimization under partial information
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 129-146
The goal of this paper is to investigate (locally) risk-minimizing hedging strategies under the benchmark approach in a …
Persistent link: https://www.econbiz.de/10010753197
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Computing best bounds for nonlinear risk measures with partial information
Wong, Man Hong; Zhang, Shuzhong - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 204-212
Persistent link: https://www.econbiz.de/10009736115
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2021
Persistent link: https://www.econbiz.de/10013347384
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
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Local risk-minimization under the benchmark approach
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134
Persistent link: https://www.econbiz.de/10010341774
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Cliquet-style return guarantees in a regime switching Lévy model
Hieber, Peter - In: Insurance / Mathematics & economics 72 (2017), pp. 138-147
Persistent link: https://www.econbiz.de/10011694412